A Comparative Study of VaR Estimation for Structured Products | Zendy

FenYing Chen | Zendy

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A Comparative Study of VaR Estimation for Structured Products

Author(s) -

FenYing Chen

Publication year - 2010

Publication title -

economics research international

Language(s) - English

Resource type - Journals

eISSN - 2090-2123

pISSN - 2090-2131

DOI - 10.1155/2010/838469

Subject(s) - heteroscedasticity , autoregressive conditional heteroskedasticity , econometrics , volatility (finance) , mean squared error , economics , statistics , estimation , mathematics , multivariate statistics , mean absolute error , management

The previous literature commonly concluded that GARCH models provide better volatility forecasts in financial markets. This paper adopts the backtesting criteria, the multivariate extension of the Diebold and Mariano (1995) test, RMSE (root mean squared errors), and MAE (mean absolute errors) to compare the performances of selected conditional heteroscedastic models for structured products in the low oil price and high oil price periods. The results illustrate that, in general, the performance of GARCH type seems to be better in the whole periods whereas it is not in the low period and the high oil price period

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